The effects of monetary policy changes on market interest rates in Greece: An event study approach

2006 ◽  
Vol 15 (4) ◽  
pp. 487-504 ◽  
Author(s):  
Asimakis Kaketsis ◽  
Nicholas Sarantis
Keyword(s):  
Monetary Policy ◽  
Interest Rates ◽  
Event Study ◽  
Policy Changes ◽  
Study Approach

scholarly journals Monetary Policy Announcements and Market Interest Rates in Pakistan: An Event Study Approach.

2011 ◽  
Vol 50 (4II) ◽  
pp. 821-839
Author(s):  
Habib-ur-Rahman Habib-ur-Rahman ◽  
Hasan M. Mohsin
Keyword(s):  
Monetary Policy ◽  
Interest Rates ◽  
Event Study ◽  
Positive Impact ◽  
Abnormal Returns ◽  
Event Window ◽  
Significant Evidence ◽  
Study Approach ◽  
Arch Effect ◽  
The Impact

The objective of this paper is to analyse the impact of monetary policy (MP) announcements on market interest rates at different nine maturities (1/Week, 2/Week, 1/Month, 3/Months, 6/Months, 9/Months, 1/Year, 2/Years and 3/Years) in Pakistan. The Event window of 11 days and an estimation window of 250 days have been used for analysis. The study did not find significant evidence of ARCH effect in market interest rates at (1/Year, 2/Years and 3/Years) maturities. However, there is evidence of significant abnormal returns which shows a positive impact of monetary policy announcements on market interest rates at different nine maturities. Keywords: Monetary Policy, Market Interest Rates, Normal Rates, Abnormal Rates, GARCH, ARIMA

scholarly journals The Effects of Quantitative Easing Announcements on the Mortgage Market: An Event Study Approach

2019 ◽  
Vol 7 (1) ◽  
pp. 9 ◽  
Author(s):  
Gang Wang
Keyword(s):  
Interest Rates ◽  
Event Study ◽  
The United States ◽  
Mortgage Market ◽  
Quantitative Easing ◽  
Study Approach ◽  
Mortgage Rate ◽  
Mortgage Securities ◽  
The Impact ◽  
T Distribution

This paper uses event study analysis to estimate the impact of the United States Federal Reserve Bank’s (Fed) quantitative easing (QE) announcements on the mortgage market during the zero lower bound (ZLB) period. A total of 35 QE announcements are identified and their effects are evaluated. The best-fitting integrated generalized autoregressive conditional heteroskedasticity (IGARCH) model with skewed t distribution is used to measure the QE announcement effects on daily changes of the 30-year mortgage rate, the 30-year Treasury rate and the spread between them. Announcements suggesting the start of a new round of QE reduced the mortgage rate tremendously, while the effects of further news diminished. Announcements of an increase in mortgage-backed security purchases decreased the mortgage rate more than the Treasury rate and reduced the credit risk of holding mortgage securities over Treasury securities. The delayed effects of QE announcements on the mortgage rate were less than short-run effects but persistent. We also find that the previous literature overestimates QE effects on interest rates in general.

Monetary policy, bank leverage and liquidity

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Van Dan Dang ◽  
Khac Quoc Bao Nguyen
Keyword(s):  
Monetary Policy ◽  
Interest Rates ◽  
Monetary Shocks ◽  
Policy Changes ◽  
Financial Leverage ◽  
Content Type ◽  
Funding Sources ◽  
Dynamic Panels ◽  
Asset Portfolio ◽  
Policy Bank

PurposeThe study explores how banks design their financial structure and asset portfolio in response to monetary policy changes.Design/methodology/approachThe authors conduct the research design for the Vietnamese banking market during 2007–2018. To ensure robust findings, the authors employ two econometric models of static and dynamic panels, multiple monetary policy indicators and alternative measures of bank leverage and liquidity.FindingsBanks respond to monetary expansion by raising their financial leverage on the liability side and cutting their liquidity positions on the asset side. Further analysis suggests that larger banks' financial leverage is more responsive to monetary policy changes, while smaller banks strengthen the potency of monetary policy transmission toward bank liquidity. Additionally, the authors document that lower interest rates induce a beneficial effect on the net stable funding ratio (NSFR) under Basel III guidelines, implying that banks appear to modify the composition of liabilities to improve the stability of funding sources.Originality/valueThe study is the first attempt to simultaneously examine the impacts of monetary policy on both sides of bank balance sheets, across various banks of different sizes under a multiple-tool monetary regime. Besides, understanding how banks organize their stable funding sources and illiquid assets amid monetary shocks is an innovation of this study.

scholarly journals An Evaluation of the Impact of Monetary Easing Policies in Times of a Pandemic

2021 ◽  
Vol 8 ◽  
Author(s):  
Ying Li ◽  
Yunpeng Sun ◽  
Mengya Chen
Keyword(s):  
Monetary Policy ◽  
Regression Analysis ◽  
United Kingdom ◽  
Interest Rates ◽  
Event Study ◽  
Study Analysis ◽  
The United Kingdom ◽  
Real Gdp ◽  
The World ◽  
The Impact

This article tests five major economies of the world, United Kingdom, Japan, Brazil, Chin and lastly, India, for the changes in the monetary policy decisions that have been implemented following the Covid-19 outbreak. The assessment was undertaken in the form of an event study analysis, further substantiated with a regression analysis conducted for exploring the significance of CPI and real GDP in predicting the policy interest rates in the economy. The results of the event study analysis presented that the abnormal changes in the interest rates were statistically significant in the case of the United Kingdom, Brazil, and China, while the abnormal changes were found to be statistically insignificant in the case of India and Japan.

Spillover effects of the US monetary policy on the Indian trilemma

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Harpreet Singh Grewal ◽  
Pushpa Trivedi
Keyword(s):  
Monetary Policy ◽  
Event Study ◽  
Spillover Effects ◽  
Subject Area ◽  
Open Market ◽  
Content Type ◽  
Study Approach ◽  
The Us ◽  
The Impact ◽  
Us Monetary Policy

PurposeThe purpose of this paper is to investigate the impact of the US unconventional monetary policy surprises on the management of trilemma in India.Design/methodology/approachThis paper uses the event study approach along with OLS and MANOVA to examine the impact.FindingsThe results validate the existence of trilemma in India for the period from October 2008 to December 2017. The results also show that monetary policy independence still exists in India in the wake of greater spillover effects during the Federal Open Market Committee announcement days. The spillover effects on USD-INR exchange rates and capital flows are found to be statistically significant. The MANOVA results show that the trilemma in India is influenced by around 20% by the changes in the US monetary policy.Originality/valueThe above approach of event study combined with MANOVA in this subject area has not been used before to the best of the authors’ knowledge. Further, there are only a few studies that exist on the spillover effects of the US monetary policy actions on the management of trilemma in India.

scholarly journals The Effects of Quantitative Easing Announcements on the Mortgage Market: An Event Study Approach

2018 ◽  
Author(s):  
Gang Wang
Keyword(s):  
Interest Rates ◽  
Event Study ◽  
Mortgage Market ◽  
Quantitative Easing ◽  
Study Approach ◽  
Long Run ◽  
Mortgage Rate ◽  
Mortgage Securities ◽  
The Impact ◽  
T Distribution

This paper uses event study analysis to estimate the impact of the Fed’s Quantitative Easing (QE) announcements on the mortgage market during zero lower bound period. A total of 35 QE announcements are identified and their effects are evaluated. The best-fitting IGARCH model with skewed t distribution is used to measure the QE announcement effects on daily changes of the 30-year mortgage rate, the 30-year Treasury rate and the spread between them. Announcements suggesting the start of a new round of QE reduced the mortgage rate tremendously, while the effects of further news diminished. Announcements of an increase in mortgage-backed security purchases decreased the mortgage rate more than the Treasury rate and reduced the credit risk of holding mortgage securities over Treasury securities. The long run effects of QE announcements on the mortgage rate were less than short run effects but persistent. We also find that the previous literature overestimate QE effects on interest rates in general.

Economic effects of monetary policy in Russia: What do large datasets tell us?

2020 ◽  
pp. 31-53 ◽  
Author(s):  
Anna A. Pestova ◽  
Natalia A. Rostova
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Interest Rates ◽  
Economic Activity ◽  
Global Financial Crisis ◽  
Exchange Rate Regime ◽  
Aggregate Demand ◽  
Economic Effects ◽  
Theoretical Concepts ◽  
Empirical Estimates

Is the Bank of Russia able to control inflation and, at the same time, manage aggregate demand using its interest rate instruments? In other words, are empirical estimates of the effects of monetary policy in Russia consistent with the theoretical concepts and experience of advanced economies? This paper is aimed at addressing these issues. Unlike previous research, we employ “big data” — a large dataset of macroeconomic and financial data — to estimate the effects of monetary policy in Russia. We focus exclusively on the period after the 2008—2009 global financial crisis when the Bank of Russia announced the abandoning of its fixed ruble exchange rate regime and started to gradually transit to an interest rate management. Our estimation results do not confirm standard responses of key economic activity and price variables to tightening of monetary policy. Specifically, our estimates do not reveal a statistically significant restraining effect of the Bank of Russia’s policy of high interest rates on inflation in recent years. At the same time, we find a significant deteriorating effect of the monetary tightening on economic activity indicators: according to our conservative estimates, each of the key rate increases occurred in March and December 2014 had led to a decrease in the industrial production index by about 0.2 percentage points within a year.

Perspectives on inflation Targeting Regime in Russia

2014 ◽  
pp. 107-121 ◽  
Author(s):  
S. Andryushin
Keyword(s):  
Monetary Policy ◽  
Financial Markets ◽  
Interest Rates ◽  
Inflation Targeting ◽  
Short Term ◽  
Indirect Control ◽  
Financial Account ◽  
Domestic Prices ◽  
Macroeconomic Indicators ◽  
Private And Public

The paper analyzes monetary policy of the Bank of Russia from 2008 to 2014. It presents the dynamics of macroeconomic indicators testifying to inability of the Bank of Russia to transit to inflation targeting regime. It is shown that the presence of short-term interest rates in the top borders of the percentage corridor does not allow to consider the key rate as a basic tool of monetary policy. The article justifies that stability of domestic prices is impossible with-out exchange rate stability. It is proved that to decrease excessive volatility on national consumer and financial markets it is reasonable to apply a policy of managing financial account, actively using for this purpose direct and indirect control tools for the cross-border flows of the private and public capital.

Monetary policy regimes in Russia: Guidelines for furtherquantitative studies

2017 ◽  
pp. 38-60 ◽  
Author(s):  
A. Pestova
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rates ◽  
Quantitative Research ◽  
Policy Regimes ◽  
Policy Effects ◽  
Exchange Rate Targeting ◽  
Basic Parameters

This paper analyzes the basic parameters of monetary policy in 2000-2015 in Russia. We provide the overview of tools and objectives of monetary policy of the Bank of Russia and identify the periods of homogeneity of monetary policy regimes: from money base targeting to exchange rate targeting and finally, to interest rates policy. On the basis of this research we develop the recommendations for further quantitative research aimed at estimation of monetary policy effects in Russia.

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